Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 2 | 2 | 2 |
| Score | -6.28 | -4.3 | -7.92 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.2 | 0.21 | 0.23 |
| Idiosyncratic Volatility | 1.08 | 1.35 | 1.9 |
Annualized return and volatility
| OAKIX | |
|---|---|
| Annualized Return | 0.0751 |
| Annualized Std Dev | 0.1874 |
| Annualized Sharpe (Rf=0%) | 0.4006 |
Row
Daily Return Statistics
| OAKIX | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0973 |
| Quartile 1 | -0.0049 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1004 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.3619 |
| Kurtosis | 8.8890 |
Downside Risk
| OAKIX | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.6083 |
| Historical VaR (95%) | -0.0175 |
| Historical ES (95%) | -0.0289 |
| Modified VaR (95%) | -0.0181 |
| Modified ES (95%) | -0.0341 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-17 | 2009-03-09 | 2011-02-08 | -0.6083 | 916 | 425 | 491 |
| 2002-05-20 | 2003-03-12 | 2003-11-13 | -0.3436 | 386 | 211 | 175 |
| 2018-01-29 | 2018-12-24 | NA | -0.3159 | 490 | 233 | NA |
| 2015-05-22 | 2016-02-11 | 2017-03-03 | -0.2757 | 455 | 186 | 269 |
| 2011-05-03 | 2011-09-22 | 2012-12-18 | -0.2713 | 417 | 100 | 317 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | OAKIX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -0.4 | 1.8 | 0.0 | -0.1 | 1.0 | 0.0 | 0.5 | 0.5 | 0.0 | 1.1 | 0.0 | 0 | 4.4 |
| 2001 | 1.3 | 0.8 | 0.0 | 1.0 | 0.2 | 0.0 | 1.3 | 0.0 | -1.1 | 0.2 | 0.0 | 0 | 3.7 |
| 2002 | 0.4 | 1.5 | 0.1 | 0.7 | 0.0 | 0.6 | -1.5 | 0.0 | 0.7 | 0.5 | 0.0 | 0 | 3.1 |
| 2003 | 0.0 | 0.0 | 0.7 | 0.5 | 0.0 | -0.6 | -0.1 | 0.0 | 1.5 | 0.0 | 0.9 | 0 | 2.8 |
| 2004 | 0.0 | 0.6 | 1.0 | 0.0 | 0.0 | -0.3 | 0.0 | 0.5 | 0.8 | 0.4 | 0.9 | 0 | 4.1 |
| 2005 | 0.3 | 0.4 | 0.2 | 0.0 | 0.6 | 0.0 | 0.5 | 1.8 | 0.0 | 1.0 | 1.1 | 0 | 6.1 |
| 2006 | 0.1 | 0.1 | 0.0 | 0.2 | 0.3 | 0.0 | -0.5 | 0.6 | 0.0 | 0.3 | 0.2 | 0 | 1.2 |
| 2007 | 0.6 | -0.7 | 0.0 | 0.3 | 0.4 | 0.0 | -0.6 | 0.0 | 0.3 | -2.3 | 0.0 | 0 | -2.1 |
| 2008 | 1.3 | 0.0 | 4.3 | 1.3 | 0.0 | -1.9 | -0.5 | 0.0 | -0.6 | 0.0 | -7.5 | 0 | -4.0 |
| 2009 | 0.0 | 0.0 | 3.0 | 0.8 | 1.9 | 1.4 | 0.0 | -2.8 | -1.9 | 0.0 | 2.7 | 0 | 5.1 |
| 2010 | 1.2 | 1.2 | 1.2 | 0.0 | -0.9 | 0.6 | 0.0 | 3.0 | 0.2 | 0.0 | 1.9 | 0 | 8.8 |
| 2011 | 1.8 | -1.0 | 1.1 | 0.0 | -1.5 | 0.9 | -0.9 | -0.8 | 0.0 | -3.3 | -0.8 | 0 | -4.4 |
| 2012 | 2.5 | 0.7 | 0.0 | -0.2 | -1.5 | 0.0 | -0.9 | 0.0 | 1.4 | 1.2 | 0.0 | 0 | 3.2 |
| 2013 | 0.6 | -0.7 | -0.4 | -0.1 | 0.0 | 1.3 | 0.6 | 0.0 | 1.1 | -1.0 | 0.0 | 0 | 1.5 |
| 2014 | 0.0 | 0.0 | 0.4 | 0.4 | 0.0 | 0.6 | -0.7 | 0.0 | -1.0 | 0.0 | -0.2 | 0 | -0.4 |
| 2015 | 0.0 | 0.0 | 0.3 | -0.2 | -0.6 | 0.9 | 0.0 | -3.1 | 0.2 | 0.0 | 0.7 | 0 | -1.7 |
| 2016 | -0.3 | 2.3 | -2.0 | 0.0 | -0.6 | 0.6 | -0.5 | 1.0 | 0.0 | -0.4 | 0.6 | 0 | 0.7 |
| 2017 | 0.4 | 1.4 | 0.0 | 0.0 | 0.3 | 0.0 | 0.5 | 0.3 | 0.0 | 0.2 | -0.6 | 0 | 2.6 |
| 2018 | 0.5 | -1.4 | 0.0 | -0.4 | 1.2 | 0.0 | -0.7 | 0.0 | -0.7 | 1.7 | 0.0 | 0 | 0.3 |
| 2019 | 0.4 | 0.4 | 1.8 | -0.5 | 0.0 | 0.2 | -0.2 | 0.0 | -1.2 | 1.3 | 0.0 | 0 | 2.1 |
Row
Rolling Performance Chart
Snail Trail Chart
